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Lenders on the Storm of Wholesale Funding Shocks : Saved by the Central Bank?
de Haan, Leo - 2016
We provide empirical evidence on banks' responses to shocks in wholesale funding, using data of 181 euro area banks over the period August 2007 to June 2013. Banks' adjustments of loan volumes and lending rates in response to funding liquidity shocks are analysed in a panel VAR framework. The...
Persistent link: https://www.econbiz.de/10012998237
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The Minimum Liquidity Deficit and the Maturity Structure of Central Banks' Open Market Operations : Lessons from the Financial Crisis
Eisenschmidt, Jens - 2011
This paper studies the relationship between the size of the banking sector's refinancing needs vis-à-vis the central … the total size of the banking sector's refinancing needs. An empirical analysis then aims at determining the size of open …
Persistent link: https://www.econbiz.de/10013132236
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How Do Banks Manage Liquidity? Evidence from the ECB's Tiering Experiment
Baldo, Luca; Heider, Florian; Hoffmann, Peter; Sigaux, … - 2022
We study how banks manage their liquidity among the various assets at their disposal. We exploit the introduction of the ECB’s two-tier system which heterogeneously reduced the cost of additional reserves holdings. We find that the treated banks increase reserve holdings by borrowing on the...
Persistent link: https://www.econbiz.de/10014239530
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Bank Capital Structure and the Credit Channel of Central Bank Asset Purchases
Darracq Paries, Matthieu - 2016
programme. We analyse the macroeconomic effects of the Asset Purchase Programme via the banking system, exploiting the cross … (2013), featuring a segmented banking sector, is estimated for the euro area and combined with a bank portfolio optimisation … lending conditions, which can vary significantly across jurisdictions and segments of the banking system …
Persistent link: https://www.econbiz.de/10012988604
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Sovereign Defaults in Court
Schumacher, Julian - 2018
For centuries, defaulting governments were immune from legal action by foreign creditors. This paper shows that this is no longer the case. Building a dataset covering four decades, we find that creditor lawsuits have become an increasingly common feature of sovereign debt markets. The legal...
Persistent link: https://www.econbiz.de/10012925866
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Stress Testing with Multi-Faceted Liquidity : The Central Bank Collateral Framework as a Financial Stability Tool
Cuzzola, Angelo; Barbieri, Claudio; Bindseil, Ulrich - 2023
The paper studies the central bank collateral framework and its impact on banks’ liquidity under an adverse stress test scenario. We construct a stress test model that accounts for a granular and multi-faceted representation of the liquidity of marketable and non-marketable assets. In...
Persistent link: https://www.econbiz.de/10014354850
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The Impact of Central Bank Liquidity Support on Banks’ Balance Sheets
de Haan, Leo - 2019
We empirically analyse the relationship between longer term central bank liquidity support and banks' balance sheet ratios, using difference-in-differences panel regressions and propensity score matching on a large sample of banks in the euro area. The research question is whether the liquidity...
Persistent link: https://www.econbiz.de/10012860052
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The Optimal Width of the Central Bank Standing Facilities Corridor and Banks' Day - to - Day Liquidity Management
Bindseil, Ulrich - 2011
Containing short-term volatility of the overnight interest rate is normally considered the main objective of central bank standing facilities. This paper develops a simple stochastic model to show how the width of the central bank standing facilities corridor affects banks' day-to-day liquidity...
Persistent link: https://www.econbiz.de/10013124641
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Central Bank Collateral, Asset Fire Sales, Regulation and Liquidity
Bindseil, Ulrich - 2013
central bank collateral framework and regulation determine jointly the ability of the banking system to deliver maturity …
Persistent link: https://www.econbiz.de/10013073375
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Central Bank Liquidity Provision, Risk-Taking and Economic Efficiency
Bindseil, Ulrich - 2013
After the Lehman default, but also during the euro area sovereign debt crisis, central banks have tended to extend the ability of banks to take recourse to central bank credit operations through changes of the collateral framework (e.g. CGFS, 2008 – in consistence with previous narratives,...
Persistent link: https://www.econbiz.de/10013083125